McKean-Vlasov equations with rough common noise
Probability
2025-07-18 v1
Abstract
We show well-posedness for McKean--Vlasov equations with rough common noise and progressively measurable coefficients. Our results are valid under natural regularity assumptions on the coefficients, in agreement with the respective requirements of Ito and rough path theory. To achieve these goals, we work in the framework of rough stochastic differential equations recently developed by the authors of this article.
Cite
@article{arxiv.2507.13149,
title = {McKean-Vlasov equations with rough common noise},
author = {Peter K. Friz and Antoine Hocquet and Khoa Lê},
journal= {arXiv preprint arXiv:2507.13149},
year = {2025}
}
Comments
33 pages